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Equity Options at Eurex Exchange
May 2020
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Equity Options at Eurex Exchange May 2020
Your benefits trading Eurex Equity Options
2
One Stop Shop
Weeklies & Euro- Style
• Eurex has the largest offer on single names: traded Options, Futures and Dividend
products at one exchange
• Weeklies on all Eurostoxx50 components and European style options
Trading on Eurex
EnLight
• Increase your process efficiency
• Your source to liquidity and new pools, build on a proven technology
• Trade option volatility strategies with combination of option and physical settled SSF
Option Volatility
strategies
• Eurex offers option volatility strategy by offering combined trades of the option and it‘s
corresponding physical settled single stock futures
Margin Savings • Benefit from netting effects bundling your volume at one platform
Trade Entry Services &
Multilateral Trade Reg.
• Trade Entry services are facilitated by a number of brokers
• TES trades can be registered by multiple counterparties
Lowest Fees• We offer you low fees for client accounts and attractive volume and market making
rebates up to 80% accross all country segments
Flex Options • Flex Options: Define exercise price, expiration date, exercise style and settlement.
3- 9
10
11-12
13-16
20-21
18
19
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Equity Options at Eurex Exchange May 2020
Eurex Exchange Offers a Wide Range of Equity Options
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• Eurex market participants are now able to trade more then 800 Equity options on over 500 stocks,
from 13 countries.*
• The range offers access to all the components of the EURO STOXX 50 and STOXX Europe 50
Index, as well as most components in the STOXX Europe 600, STOXX Europe Large 200, STOXX
Europe Mid 200 and STOXX Europe Small 200 indices.
* Equity Options are not available for firms trading from the U.S.
** standard American style Equity Options - majority of products also
available with weekly expiry and/or European style exercise
Currency Options **
CHF Switzerland SMI, SLI, SMIM 92
EUR Germany DAX®, MDAX®, TecDAX® 150
France CAC40 84
Netherlands AEX 37
Italy FTSE MIB 34
Spain IBEX 35 14
Belgium BEL 20 18
Austria ATX, ATX five 24
Finland OMX Helsinki 25 11
Ireland ISEQ 20 7
Sweden OMC Stockholm 30 1
GBP UK FTSE 100 32
USD Russia RDX USD 7
Total 511
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Equity Options at Eurex Exchange May 2020
4
Development Single Equity Options 1/2
Pie charts based on YTM 2020 data
May-20 May-19 YTM 2020
Traded Contracts 12,848,241 15,472,493 84,152,420
Agent 5,654,092 5,290,015 31,738,599
Market Maker 5,176,801 8,020,675 39,878,296
Principal 2,017,349 2,161,803 12,535,526
Open Interest 68,587,937 63,003,274
765,022Average Daily Volume 2020
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Equity Options at Eurex Exchange May 2020
5
Development Single Equity Options 2/2
Pie charts based on YTD 2020 data
Germany 33,739,317 30,809,771 10%
Switzerland 24,745,170 24,909,147 -1%
France 11,996,302 11,469,745 5%
Netherlands 5,881,613 6,417,818 -8%
Finland 3,504,026 2,924,335 20%
Italy 1,712,972 2,420,671 -29%
Spain 1,685,872 1,735,089 -3%
Belgium 356,923 383,842 -7%
Austria 137,145 112,932 21%
Sweden 130,705 429,891 -70%
Russia 114,537 26,744 328%
Ireland 87,117 23,837 265%
Great Britan 60,721 74,806 -19%
Total 84,152,420 81,738,628 3%
YTM 2020 YTM 2019 % changeCountry
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Equity Options at Eurex Exchange May 2020
Equity Options – Country Segments Development
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Equity Options at Eurex Exchange May 2020
Equity Options – Country Segments Development
7
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Equity Options at Eurex Exchange May 2020
Weekly & European Style Options
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Weekly
Options
European
Style
Options
• 78 underlying assets for Weekly equity options are available on Eurex: Weekly options expire
every Friday
• Contract specifications are similar to the monthly options
• Advantages:
• Lower premiums
• Implement more targeted strategies, i.e..: tailor strategies around specific market events
• Wider choice of expiry dates
• Short-term investment in the underlying equity
• European Style options are available on 36 underlying assets
• The exercise style is the only difference between the American and European equity options
contract specifications
• Advantages:
• Implement more targeted strategies
• Option can only be exercised at the end of it’s life
• Remove uncertainty of executions during the options lifetime
• Cheaper than American options
Product Variations – Weekly Options and Europeans
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Equity Options at Eurex Exchange May 2020
Equity Options with weekly expiries
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Pie charts based on YTM 2020 data
May-20 May-19 YTM 2020
Traded Contracts 63,202 82,548 327,951
Agent 28,080 38,372 138,584
Market Maker 33,377 38,326 184,618
Principal 1,746 5,850 4,750
Open Interest 18,503 25,506
2,981Average Daily Volume 2020
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Equity Options at Eurex Exchange May 2020
Trading Equity Options on Eurex EnLight
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Increase your
process efficiency
• Eurex EnLight offers a collated view of all received quotes, implied orderbook prices etc.
• Improve your intelligence capabilities with price formation data
Your source to
liquidity and new
pools
• Eurex EnLight connects a large number of participants and thereby provides liquidity
• Access to full liquidity information increases speed of accurate price formation
Build on a proven
technology
• The platform is accessible via the Eurex GUI or the T7 API
• No separate agreements or special setups required
Comply with Best
Execution
obligations
• Eurex EnLight, as your assistant in terms of MiFID II / MiFIR obligations, offers tools to monitor
and enforces the firm’s policy
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Equity Options at Eurex Exchange May 2020
Option volatility strategies for Single Stock Options
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• Trade option volatility strategies with the
combination of option and physical settled
single stock futures with monthly expirations
cycle fully in the Eurex CCP framework
• No bilateral exchange of the cash leg
necessary
• Trade against every Eurex counterparty
without any bilateral counterparty risk
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Equity Options at Eurex Exchange May 2020
Universe of 61 underlyings for option volatility strategies
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Equity Options at Eurex Exchange May 2020
Benefit from Margin Efficiencies
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Bundle your
volume at
one platform
• Benefit from netting effects bundling your volume at one platform
• With Eurex Clearing Prisma Portfolio Margining, trading for example the EURO STOXX 50
future or Sector & Broadbased futures versus several options of its components, makes you
benefit from netting effects
• The same applies to trading different country segments at one platform
Mitigating
risks through
CCP clearing
• With Eurex Clearing, Europe’s leading clearing house for securities and derivatives
transactions, as the central counterparty to all trades, you benefit from mitigated counterparty
risk
• Eurex Clearing provides effective CCP, risk management and collateral management services
thus improving operational efficiency as well as market safety overall
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Equity Options at Eurex Exchange May 2020
Mixed Countries (Options)
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Name Eurex Long Short P/C Exp. Date Exercise
Price
Initial
Margin
(in EUR)
Liquidity
add on
(in EUR)
Margin
Total (in
EUR)
Portfolio
Margin
Total (in
EUR)
Margin
savings
Allianz ALV 100 0 C 2016/12/16 100 217,997 34,268 252,265
252,266 56%
Credit
Suisse
CSGN 250 0 C 2016/12/16 15 208,219 22,321 230,540
ABN
Amro
AAR 0 230 C 2016/12/16 20 27,974 5,675 33,649
Carrefour CAR 0 350 C 2016/12/16 28 45,295 13,453 58,748
ALV
252,265 €
AAR
33,649 €
Portfolio
252,266 €
56%
savings
Single Margins Portfolio Margining
CSGN
230,540 €
CAR
58,748 ۥ Trading Equity Options on one single platform instead of several
platforms can result into large margin savings
• Migrate your French, Dutch, Italian and Spanish Equity Option
trading to Eurex as a single platform to benefit a maximum of netting
effects
• They will be netted versus other country groups such as German
and Swiss Equity Options as well as our benchmark futures
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Equity Options at Eurex Exchange May 2020
FESX vs. Dutch equity options
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Name Eurex Long Short P/C Exercise
Price
Exp. Date Initial
Margin
(in EUR)
Liquidity
add on
(in EUR)
Margin
Total (in
EUR)
Portfolio
Margin
Total (in
EUR)
Margin
savings
SX5E
Index
Future
FESX 50 0 - 2017/03/17 118,057 356 118,413
108,498 44%ING INN 0 100 C 13 2017/03/17 26,325 2,470 28,796
Philips PHI1 0 100 C 27 2017/03/17 20,643 2,817 23,460
Unilever UNI 0 100 C 37 2017/03/17 23,057 1,878 24,935
FESX
118,413 €
PHI1
23,460 €
Portfolio
108,498 €
44%
savings
Single Margins Portfolio Margining
INN
28,796 €
UNI
24,935 €
*Option Style: American
• Especially the Eurostoxx components are very interesting to have on
Eurex in respect to the netting effects you would have against the
futures contract
• This example shows the Dutch options where you do not only benefit
from a significantly lower fee at Eurex, but also from a netting effect
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Equity Options at Eurex Exchange May 2020
Automobiles (Italy & France)
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Name Eurex Long Short P/C Exp. Date Exercise
Price
Initial
Margin
(in EUR)
Liquidity
add on
(in EUR)
Margin
Total (in
EUR)
Portfolio
Margin
Total (in
EUR)
Margin
savings
ES
Autom.&P
FESA 100 0 - 2016/12/16 - 260,241 17,874 278,115
522,627 57%Fiat FIA5 900 0 P 2016/12/16 8 535,075 206,703 741,778
Peugot PEU 800 0 P 2016/12/16 15 158,628 50,897 209,525
FIA5
511,309 €
PEU
84,586 €
Portfolio
522,627 €
57%
savings
Single Margins Portfolio Margining
FESA
147,495 €
• Trading liquid Equity Options on companies such as Fiat and
Peugeot with Eurex as a single platform results in netting effects
• They will be netted versus versus the liquid Eurostoxx Automobiles
Future (example below)
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Equity Options at Eurex Exchange May 2020
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Contract Specifications
Contract Size 1, 10, 100, 500, 1,000, 2,500 or 5,000 shares
Price Quotation
Tick Size
EUR**/CHF/USD: 0.01
GBP: 0.25 or 0.5
**Exceptions - Italian equity options: EUR 0.0005
- Bank of Ireland and Permanent TSB holdings : EUR0.001
Contract Months
Up to 12, 24 and 60 months: The three nearest successive calendar months, the three (for Spanish equity options nine) following
quarterly months of the March, June, September and December cycle thereafter, and the four (for Spanish equity options the nearest)
following semi-annual months of the June and December cycle thereafter, and the two following annual months of the December cycle
thereafter.
Daily Settlement PriceThe Daily Settlement Price is established by Eurex. The Daily Settlement Prices for equity options are determined through the binomial
model according to Cox/Ross/Rubinstein. If necessary, dividend expectations, current interest rates or other payments are taken into
consideration.
Final Settlement Price
American-style; an option can be exercised until the end of the Post-Trading Full Period (20:00 CET) on any trading day during the
lifetime of the option.
European-style for equity options with group ID DE 14, CH14, FI14, FR14 and NL14; an option can only be exercised on the Last Trading
Day until the end of the Post-Trading Full Period (20:00 CET).European-style Russian equity options: an option can only be exercised on
the Last Trading Day until the end of the Post-Trading Full Period (17:40 CET).
Settlement Physical delivery of underlying shares is two exchange trading days after exercise: t+2
Last Trading Day Third Friday of the respective month, for Italian equity options the day before the third Friday, of each expiration month, if this is an
exchange day; otherwise, the exchange day immediately preceding that day.
Option Premium The premium is payable in full in the currency of the respective contract on the exchange day following the day of the trade.
Trading Hours
Orderbook: 09:00 - 17:30 CET; Swiss EO: 09:00 - 17:20 CET; Russian EO: 09:15 - 16:30 CET
Eurex Trade Entry Services: 09:00 - 19:00 CET; Austrian EO: 09:15 - 19:00 CET; UK and Irish EO: 09:00 - 18:30 CET; Russian EO:
10:00 - 19:00 CET ( 16:30-17:00 CET on the Last Trading Day of Russian EO)
The opening time of 09:00 is considered a reference point. Eurex opens its equity options staggered between 08:50-09:05
The closing time of 17.30 is considered a reference point. Eurex closes its equity options staggered between 17:30-17:36
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Equity Options at Eurex Exchange May 2020
Participants can enter off-order book trades into the Eurex system, benefiting from the
safety of clearing and settlement as well as the flexibility of off-book trades.
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Eurex Trade
Entry
Services
Eurex Trade
Entry
Services
Non-
disclosure
facility
• Members are able to enter bilaterally agreed off-book transactions into the trading and
clearing system. Registered off-book trades are then automatically cleared like regular
exchange transactions
• The Eurex Trade Entry Services facility is fully electronic and integrated into members’
processes (Minimum number of contracts apply)
• Block trades reaching or exceeding a certain number of contracts (defined by the exchange)
are optionally not disclosed intraday. Thresholds are published on the Eurex website
• No Extra fee for non-publication
• On the following day, reports will contain updated volumes and open interest, including the
ones that were not disclosed
Eurex Trade Entry Services Offers You Safety…
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Equity Options at Eurex Exchange May 2020
Participants can enter off-order book trades into the Eurex system, benefiting from the
safety of clearing and settlement as well as the flexibility of off-book trades
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Flexible
Options
• Allows customisation of equity options to suit the participant requirement
• Users can define Exercise price, Expiration date, Exercise style and Settlement type
• Flexible contracts are not disclosed intra-day.
… and Flexibility
Multilateral
Trade
Registration
• Members can enter an off-book transaction involving multiple counterparties with
automated confirmation. Partial trades can be entered which can be assigned to
counterparties.
• Block trade fee caps are applied to all partial trades. Fees apply only up to the fee cap,
providing substantial cost efficiencies
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Equity Options at Eurex Exchange May 2020
Trading and clearing covered by one fee
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Competitive & Transparent Fee Structure (A-Account)
• Up to 80% fee rebates are available, depending on monthly proprietary trading volume, liquidity class and trade type
• Trade Entry Services (TES) fees apply to all transactions executed via the Eurex Block Trade facility and to flexible options
Product
currencyTrading Type
Transaction fees Threshold Exercise fee
Fee per lot Reduced fee* Contracts Fee per lot**
EUR (European Equity Options)
Orderbook 0.12 0.06
1,000
0.12
Eurex EnLight 0.13 0.07 0.12
TES 0.14 0.07 0.12
EUR (German Equity Options)
Orderbook 0.15 0.08 0,15
Eurex EnLight 0.16 0.08 0,15
TES 0.17 0.09 0,15
CHF
Orderbook 0.20 0.10 0.20
Eurex EnLight 0.21 0.11 0.20
TES 0.22 0.11 0.20
GBP
Orderbook 0.17 0.09 0.17
Eurex EnLight 0.18 0.09 0.17
TES 0.19 0.10 0.17
USD
Orderbook 0.17 0.09 0.17
Eurex EnLight 0.18 0.09 0.17
TES 0.19 0.10 0.17
*Applies to contracts exceeding the threshold
**No fees are charged for exercise of LEPOs
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Equity Options at Eurex Exchange May 2020
• Up to 80% fee rebates are available, depending on monthly proprietary trading volume, liquidity class and trade type
• Trade Entry Services (TES) fees apply to all transactions executed via the Eurex Block Trade facility and to flexible options
21
Competitive & Transparent Fee Structure (P/M-Account)
* Applies to contracts exceeding the threshold
** For P-Account only
***No fees are charged for exercise of LEPOs
Product
currencyTrading Type
Transaction fees Threshold Exercise fee
Fee per lot Reduced fee* ** Contracts ** Fee per lot***
EUR (European Equity Options)
Orderbook 0.10 0.05
500
0.10
Eurex EnLight 0.10 0.05 0.10
TES 0.10 0.05 0.10
EUR (German Equity Options)
Orderbook 0.10 0.05 0,10
Eurex EnLight 0.10 0.05 0.10
TES 0.10 0.05 0.10
CHF
Orderbook 0.15 0.08 0.15
Eurex EnLight 0.15 0.08 0.15
TES 0.15 0.08 0.15
GBP
Orderbook 0.15 0.08 0.15
Eurex EnLight 0.15 0.08 0.15
TES 0.15 0.08 0.15
USD
Orderbook 0.15 0.08 0.15
Eurex EnLight 0.15 0.08 0.15
TES 0.15 0.08 0.15
Trading and clearing covered by one fee
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Equity Options at Eurex Exchange May 2020
22
Further information
• For full equity option product list, contracts specifications and parameters (including Group ID):
http://www.eurexchange.com/exchange-en/products/equ/opt/https://www.eurexchange.com/resource/blob/4908/b090da8d8a1564e6502e69046ac934de/data/productlist.csv
• Corporate action announcements:
http://www.eurexchange.com/exchange-en/products/equ/corporate-actions
• Eurex EnLight:
https://www.eurexchange.com/exchange-en/resources/initiatives/eurex-enlight
• Market Making :
http://www.eurexchange.com/exchange-en/trading/market-making-and-liquidity-provisioning
• Broker & Market Makers:
http://www.eurexchange.com/exchange-en/resources/participant-list/
• Trading Fees:
http://www.eurexchange.com/exchange-en/trading/transaction-fees
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Equity Options at Eurex Exchange May 2020
23
Equity & Index Sales Equity & Index Product Development
Philipp Schultze
Eurex Global Derivatives AGTheilerstrasse 1a6300 ZugSwitzerland
T: +41 43 4 30-71 [email protected]
Nicolae Raulet
Eurex Frankfurt AGLondon, Representative Office
11 Westferry Circus, 2nd Floor, Canary Wharf
London E14 4HE
T +44-207-8 62-72 74
Contact us
Further information
Eurex Functional Helpdesks Eurex Technical Helpdesk
TradingT: +49 69 211-1 12 10
ClearingT: +49 69 211-1 12 50
TechnicalT: +49 69 211-1 12 00
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Equity Options at Eurex Exchange May 2020
24
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